The Cost of Collateral for Clearing

New financial regulations including Dodd-Frank, Basel, MiFID and EMIR are increasing the cost of capital and driving the need to more accurately measure the risks and profitability of OTC derivatives. These regulations significantly increased collateral requirements for cleared trades. This webinar explores the different capital costs arising from clearing and how they compare with costs for OTC trades.




Dmitry Pugachevsky, Director of Research, Quantifi 

Areas Covered

  • Regulations and swap clearing 
  • MVA - Margin Valuation Adjustment
  • The cost of funding initial margins (IMCA)
  • The cost and benefit of funding valuation margins 
  • Funding components of XVA
  • OTC trade profitability
  • Examples of Cleared and Uncleard IR Swaps
  • Reasons OTC trading will continue
  • Converging between OTC and Clearing funding costs



View Slides



Recommended Whitepapers and Articles

Whitepaper: Cost of Trading and Clearing OTC Derivatives in the Wake of Margining

A First View on the New CVA Risk Capital Charge

Identifying Liquidity Risk for Financial Stability

Challenges in Implementing a Counterparty Risk Management Process